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Citations for "Predictive ability with cointegrated variables"

by Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia

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  1. Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December.
  2. Todd E. Clark & Michael W. Mccracken, 2014. "Tests Of Equal Forecast Accuracy For Overlapping Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 415-430, 04.
  3. Krishna, Kala & Ozyildirim, Ataman & Swanson, Norman R., 2003. "Trade, investment and growth: nexus, analysis and prognosis," Journal of Development Economics, Elsevier, vol. 70(2), pages 479-499, April.
  4. Marc Joëts, 2013. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Working Papers 2013-31, Department of Research, Ipag Business School.
  5. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February.
  6. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
  7. Clark, Todd E. & McCracken, Michael W., 2009. "Tests of Equal Predictive Ability With Real-Time Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 441-454.
  8. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics.
  9. Corradi, Valentina & Swanson, Norman R., 2002. "A consistent test for nonlinear out of sample predictive accuracy," Journal of Econometrics, Elsevier, vol. 110(2), pages 353-381, October.
  10. Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
  11. Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics.
  12. Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
  13. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
  14. Sainan Jin & Valentina Corradi & Norman Swanson, 2015. "Robust Forecast Comparison," Departmental Working Papers 201502, Rutgers University, Department of Economics.
  15. Barbara Rossi, 2008. "Comment on "Exchange Rate Models Are Not As Bad As You Think"," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 453-470 National Bureau of Economic Research, Inc.
  16. Marc Joëts, 2012. "Mood-misattribution effect on energy markets: a biorhythm approach," EconomiX Working Papers 2012-24, University of Paris West - Nanterre la Défense, EconomiX.
  17. Inoue, Atsushi & Kilian, Lutz, 2002. "In-sample or out-of-sample tests of predictability: which one should we use?," Working Paper Series 0195, European Central Bank.
  18. Marc Joëts, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Working Papers 2013.32, Fondazione Eni Enrico Mattei.
  19. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2003. "Forecast evaluation with shared data sets," International Journal of Forecasting, Elsevier, vol. 19(2), pages 217-227.
  20. Lance J. Bachmeier & Norman R. Swanson, 2005. "Predicting Inflation: Does The Quantity Theory Help?," Economic Inquiry, Western Economic Association International, vol. 43(3), pages 570-585, July.
  21. Corradi, Valentina & Swanson, Norman R., 2006. "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, vol. 133(2), pages 779-806, August.
  22. Valentina Corradi & Norman Swanson, 2003. "Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives," Departmental Working Papers 200316, Rutgers University, Department of Economics.
  23. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics.
  24. Francisco Javier Eransus & Alfonso Novales Cinca, 2014. "Parameter Estimation Error in Tests of Predictive Performance under Discrete Loss Functions," Documentos de Trabajo del ICAE 2014-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  25. repec:ipg:wpaper:2013-031 is not listed on IDEAS
  26. Reimers, Hans-Eggert, 2002. "Analysing Divisia Aggregates for the Euro Area," Discussion Paper Series 1: Economic Studies 2002,13, Deutsche Bundesbank, Research Centre.
  27. Robledo, Carlos W. & Zapata, Hector O. & McCracken, Michael, 2001. "New Mse Tests For Evaluating Forecasting Performance: Empirics And Bootstrap," 2001 Annual meeting, August 5-8, Chicago, IL 20686, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  28. Todd E. Clark & Michael W. McCracken, 2010. "Testing for unconditional predictive ability," Working Papers 2010-031, Federal Reserve Bank of St. Louis.
  29. Zou, Hui & Yang, Yuhong, 2004. "Combining time series models for forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 69-84.
  30. McCracken, Michael W., 2004. "Parameter estimation and tests of equal forecast accuracy between non-nested models," International Journal of Forecasting, Elsevier, vol. 20(3), pages 503-514.
  31. repec:ipg:wpaper:31 is not listed on IDEAS
  32. Mariano, Roberto S. & Preve, Daniel, 2012. "Statistical tests for multiple forecast comparison," Journal of Econometrics, Elsevier, vol. 169(1), pages 123-130.
  33. Peter Reinhard Hansen, 2001. "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers 2001-06, Brown University, Department of Economics.
  34. Hans-Eggert Reimers, 2003. "Does Money Include Information for Prices in the Euro Area?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 223(5), pages 581-602, September.
  35. Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Robust tests of predictive accuracy," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 161-184.
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